Limit theory for random coefficient first-order autoregressive process

DOI10.1080/03610920902940175MaRDI QIDQ3585291zbMATH OpenOpenAlexFDO

Authors Yong Zhang, Xiao-Yun Yang

Publication date 19 August 2010

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920902940175

zbMATH Keywords

asymptotic normalityconditional least squareslimit theoryrandom coefficient AR(1)

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic optimal inference for a class of nonlinear time series models
• Convergence of stochastic processes
• EMPIRICAL BAYES ESTIMATION FOR FIRST-ORDER AUTOREGRESSIVE PROCESSES
• Large sample inference for conditional exponential families with applications to nonlinear time series
• Limit theory for moderate deviations from a unit root
• Parameter estimation for generalized random coefficient autoregressive processes
• Random coefficient autoregressive models: an introduction
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Stopping times and tightness

Cited in

(29)

• The local asymptotic normality of a class of generalized random coefficient autoregressive processes
• Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
• A test of correlation in the random coefficients of an autoregressive process
• Adaptive estimation in a random coefficient autoregressive model
• On an autoregressive model with time-dependent coefficients
• Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
• Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
• Parameter estimation in a regression model with random coefficient autoregressive errors
• Least squares estimation for critical random coefficient first-order autoregressive processes
• The smallest asymptotic variance estimator for generalized random coefficient autoregressive models
• A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model
• On the Autoregressive Model with Random Coefficients
• STATIONARITY CONDITION FOR AR INDEX PROCESS
• NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
• scientific article; zbMATH DE number 4111859 (Why is no real title available?)
• scientific article; zbMATH DE number 66826 (Why is no real title available?)
• A central limit theorem for random coefficient autoregressive models and ARCH/GARCH models
• First‐Order Autoregressive Processes with Heterogeneous Persistence
• scientific article; zbMATH DE number 862390 (Why is no real title available?)
• First order autoregressive periodically correlated model in Banach spaces: existence and central limit theorem
• Correction to: Random Coefficient Autoregressive Processes: a Markov Chain Analysis of Stationarity and Finiteness of Moments by Paul D. Feigin and Richard L. Tweedie J. Time Series Anal., Vol. 6, No. 1 (1985)
• scientific article; zbMATH DE number 5230592 (Why is no real title available?)
• Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence
• On first and second order stationarity of random coefficient models
• On the first passage time of the parabolic boundary by the Markov random walk
• Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
• On limit theorems for functional autoregressive processes with random coefficients
• On the sample variance of explosive random coefficient autoregressive processes
• Weighted composite quantile inference for nearly nonstationary autoregressive models

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